Dynamic Modeling and Econometrics in Economics and Finance

Stochastic Volatility in Financial Markets

Crossing the Bridge to Continuous Time

Authors: Mele, Antonio, Fornari, Fabio

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About this book

Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.

Table of contents (5 chapters)

Table of contents (5 chapters)

Buy this book

eBook $109.00
price for USA in USD
  • ISBN 978-1-4615-4533-0
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $149.99
price for USA in USD
  • ISBN 978-0-7923-7842-6
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
Softcover $149.99
price for USA in USD
  • ISBN 978-1-4613-7045-1
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
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Bibliographic Information

Bibliographic Information
Book Title
Stochastic Volatility in Financial Markets
Book Subtitle
Crossing the Bridge to Continuous Time
Authors
Series Title
Dynamic Modeling and Econometrics in Economics and Finance
Series Volume
3
Copyright
2000
Publisher
Springer US
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-1-4615-4533-0
DOI
10.1007/978-1-4615-4533-0
Hardcover ISBN
978-0-7923-7842-6
Softcover ISBN
978-1-4613-7045-1
Series ISSN
1566-0419
Edition Number
1
Number of Pages
XV, 147
Topics